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<H2><A NAME="SECTION03343000000000000000"></A><A NAME="subsecblockeig"></A>
<BR>
Eigenvalue Problems
</H2>

<P>
Eigenvalue<A NAME="7878"></A> problems have also
provided a fertile ground for the development of higher performance
algorithms. These algorithms generally all consist of three phases:
(1) reduction of the original dense matrix to a condensed form
by orthogonal transformations,
(2) solution of condensed form, and
(3) optional backtransformation of the solution of the condensed form
to the solution of the original matrix.
In addition to block versions of algorithms for phases 1 and 3,
a number of entirely new algorithms for phase 2 have recently
been discovered.
In particular,
Version&nbsp;3.0 of LAPACK includes new block algorithms for the singular
value decomposition (SVD) and SVD-based least squares solver,
as well as a prototype of a new algorithm
xSTEGR[<A
 HREF="node151.html#holygrail">35</A>,<A
 HREF="node151.html#parlettmarques99">87</A>,<A
 HREF="node151.html#parlettdhillon99a">86</A>,<A
 HREF="node151.html#dhillonparlett99b">36</A>],
<A NAME="7880"></A><A NAME="7881"></A><A NAME="7882"></A><A NAME="7883"></A>
which may be the ultimate solution for the symmetric eigenproblem
and SVD on both parallel and serial machines.

<P>
The first step in solving many types of eigenvalue problems is to reduce
the original matrix to a condensed form by orthogonal
transformations<A NAME="7884"></A>.
<A NAME="7885"></A>
In the reduction to condensed forms, the unblocked algorithms all use
elementary
Householder matrices and have good vector performance.
Block forms of these algorithms have been developed [<A
 HREF="node151.html#lapwn2">46</A>],
but all require additional operations, and a significant proportion of the
work
must still be performed by Level 2 BLAS, so there is less possibility of
compensating for the extra operations.

<P>
The algorithms concerned are:

<P>

<UL><LI>reduction of a symmetric matrix to tridiagonal form<A NAME="7888"></A> to solve a
symmetric eigenvalue problem: LAPACK routine xSYTRD
<A NAME="7889"></A><A NAME="7890"></A><A NAME="7891"></A><A NAME="7892"></A>
applies a symmetric block
update of the form
<BR><P></P>
<DIV ALIGN="CENTER">

<!-- MATH
 \begin{displaymath}
A \leftarrow A - U X^T - X U^T
\end{displaymath}
 -->


<IMG
 WIDTH="176" HEIGHT="28" BORDER="0"
 SRC="img224.gif"
 ALT="\begin{displaymath}A \leftarrow A - U X^T - X U^T\end{displaymath}">
</DIV>
<BR CLEAR="ALL">
<P></P>
using the Level 3
BLAS routine xSYR2K;
Level 3 BLAS account for at most half the work.

<P>

<LI>reduction of a rectangular matrix to bidiagonal form<A NAME="7893"></A> to compute
a singular value decomposition: LAPACK routine xGEBRD
<A NAME="7894"></A><A NAME="7895"></A><A NAME="7896"></A><A NAME="7897"></A>
applies a block update
of the form
<BR><P></P>
<DIV ALIGN="CENTER">

<!-- MATH
 \begin{displaymath}
A \leftarrow A - U X^T - Y V^T
\end{displaymath}
 -->


<IMG
 WIDTH="174" HEIGHT="28" BORDER="0"
 SRC="img225.gif"
 ALT="\begin{displaymath}A \leftarrow A - U X^T - Y V^T\end{displaymath}">
</DIV>
<BR CLEAR="ALL">
<P></P>
using two calls to the
Level 3 BLAS routine xGEMM; Level 3 BLAS account for at most half the
work.

<P>

<LI>reduction of a nonsymmetric matrix to Hessenberg form<A NAME="7898"></A><A NAME="7899"></A> to solve a
nonsymmetric eigenvalue problem: LAPACK routine xGEHRD
<A NAME="7900"></A><A NAME="7901"></A><A NAME="7902"></A><A NAME="7903"></A>
applies a block update
of the form
<BR><P></P>
<DIV ALIGN="CENTER">

<!-- MATH
 \begin{displaymath}
A \leftarrow (I - V T^T V^T)(A - X V^T).
\end{displaymath}
 -->


<IMG
 WIDTH="238" HEIGHT="31" BORDER="0"
 SRC="img226.gif"
 ALT="\begin{displaymath}A \leftarrow (I - V T^T V^T)(A - X V^T).\end{displaymath}">
</DIV>
<BR CLEAR="ALL">
<P></P>
Level 3 BLAS
account for at most three-quarters of the work.

<P>

</UL>

<P>
Note that only in the reduction to Hessenberg form<A NAME="7905"></A> is it possible to
use the block Householder representation described in
subsection&nbsp;<A HREF="node69.html#subsecblockqr">3.4.2</A>.
Extra work must be performed to compute the <B><I>n</I></B>-by-<B><I>b</I></B> matrices <B><I>X</I></B> and <B><I>Y</I></B>
that are required for the block updates (<B><I>b</I></B> is the block size)
-- and extra workspace is needed to
store them.

<P>
Nevertheless, the performance gains can be worthwhile on some machines
for large enough matrices,
for example, on an IBM Power&nbsp;3, as shown in Table&nbsp;<A HREF="node70.html#tabred">3.11</A>.

<P>
<BR>
<DIV ALIGN="CENTER">

<A NAME="tabred"></A>
<DIV ALIGN="CENTER">
</DIV>
<P>
<DIV ALIGN="CENTER">(all matrices are square of order <B><I>n</I></B>)
</DIV>
<P>
<DIV ALIGN="CENTER">
<BR>
</DIV>
<P>
<DIV ALIGN="CENTER"><A NAME="7909"></A>
<TABLE CELLPADDING=3 BORDER="1">
<CAPTION><STRONG>Table 3.11:</STRONG>
Speed in megaflops of reductions to condensed forms on an
IBM Power&nbsp;3</CAPTION>
<TR><TD ALIGN="LEFT">&nbsp;</TD>
<TD ALIGN="CENTER">Block</TD>
<TD ALIGN="CENTER" COLSPAN=2>Values of <B><I>n</I></B></TD>
</TR>
<TR><TD ALIGN="LEFT">&nbsp;</TD>
<TD ALIGN="CENTER">size</TD>
<TD ALIGN="RIGHT">100</TD>
<TD ALIGN="RIGHT">1000</TD>
</TR>
<TR><TD ALIGN="LEFT">DSYTRD<A NAME="7919"></A></TD>
<TD ALIGN="CENTER">1</TD>
<TD ALIGN="RIGHT">356</TD>
<TD ALIGN="RIGHT">418</TD>
</TR>
<TR><TD ALIGN="LEFT">&nbsp;</TD>
<TD ALIGN="CENTER">32</TD>
<TD ALIGN="RIGHT">192</TD>
<TD ALIGN="RIGHT">499</TD>
</TR>
<TR><TD ALIGN="LEFT">DGEBRD<A NAME="7920"></A></TD>
<TD ALIGN="CENTER">1</TD>
<TD ALIGN="RIGHT">269</TD>
<TD ALIGN="RIGHT">241</TD>
</TR>
<TR><TD ALIGN="LEFT">&nbsp;</TD>
<TD ALIGN="CENTER">32</TD>
<TD ALIGN="RIGHT">179</TD>
<TD ALIGN="RIGHT">342</TD>
</TR>
<TR><TD ALIGN="LEFT">DGEHRD<A NAME="7921"></A></TD>
<TD ALIGN="CENTER">1</TD>
<TD ALIGN="RIGHT">277</TD>
<TD ALIGN="RIGHT">250</TD>
</TR>
<TR><TD ALIGN="LEFT">&nbsp;</TD>
<TD ALIGN="CENTER">32</TD>
<TD ALIGN="RIGHT">277</TD>
<TD ALIGN="RIGHT">471</TD>
</TR>
</TABLE>
</DIV>
</DIV>
<BR>

<P>
Following the reduction of a dense (or band) symmetric matrix to tridiagonal
form <B><I>T</I></B>,
we must compute the eigenvalues and (optionally) eigenvectors of <B><I>T</I></B>.
Computing the eigenvalues of <B><I>T</I></B> alone (using LAPACK routine
xSTERF<A NAME="7925"></A><A NAME="7926"></A>) requires
<B><I>O</I>(<I>n</I><SUP>2</SUP>)</B> flops, whereas the reduction routine
xSYTRD<A NAME="7927"></A><A NAME="7928"></A> does 
<!-- MATH
 $\frac{4}{3}n^3 + O(n^2)$
 -->
<IMG
 WIDTH="100" HEIGHT="38" ALIGN="MIDDLE" BORDER="0"
 SRC="img227.gif"
 ALT="$\frac{4}{3}n^3 + O(n^2)$">
flops. So eventually the cost of finding eigenvalues
alone becomes small compared to the cost of reduction. However, xSTERF
does only scalar floating point operations, without scope for the BLAS,
so <B><I>n</I></B> may have to be large before xSYTRD is slower than xSTERF.

<P>
Version 2.0 of LAPACK introduced a new algorithm,
xSTEDC<A NAME="7931"></A><A NAME="7932"></A><A NAME="7933"></A><A NAME="7934"></A>,
for finding all eigenvalues and
eigenvectors of <B><I>T</I></B>. The new algorithm can exploit Level 2 and 3 BLAS,
whereas
the previous algorithm,
xSTEQR<A NAME="7935"></A><A NAME="7936"></A><A NAME="7937"></A><A NAME="7938"></A>,
could not. Furthermore, xSTEDC usually does
many
fewer flops than xSTEQR, so the speedup is compounded. Briefly, xSTEDC works
as follows
(for details, see [<A
 HREF="node151.html#gueisenstat">57</A>,<A
 HREF="node151.html#rutter">89</A>]). The tridiagonal matrix <B><I>T</I></B> is
written as
<BR><P></P>
<DIV ALIGN="CENTER">

<!-- MATH
 \begin{displaymath}
T = \left( \begin{array}{cc} T_1 & 0 \\0 & T_2 \end{array} \right) + H
\end{displaymath}
 -->


<IMG
 WIDTH="165" HEIGHT="54" BORDER="0"
 SRC="img228.gif"
 ALT="\begin{displaymath}
T = \left( \begin{array}{cc} T_1 &amp; 0 \\ 0 &amp; T_2 \end{array} \right) + H
\end{displaymath}">
</DIV>
<BR CLEAR="ALL">
<P></P>
where <B><I>T</I><SUB>1</SUB></B> and <B><I>T</I><SUB>2</SUB></B> are tridiagonal, and <B><I>H</I></B> is a very simple rank-one
matrix.
Then the eigenvalues and eigenvectors of <B><I>T</I><SUB>1</SUB></B> and <B><I>T</I><SUB>2</SUB></B> are found by
applying
the algorithm recursively; this yields 
<!-- MATH
 $T_1 = Q_1 \Lambda_1 Q_1^T$
 -->
<IMG
 WIDTH="111" HEIGHT="38" ALIGN="MIDDLE" BORDER="0"
 SRC="img229.gif"
 ALT="$T_1 = Q_1 \Lambda_1 Q_1^T$">
and

<!-- MATH
 $T_2 = Q_2 \Lambda_2 Q_2^T$
 -->
<IMG
 WIDTH="111" HEIGHT="38" ALIGN="MIDDLE" BORDER="0"
 SRC="img230.gif"
 ALT="$T_2 = Q_2 \Lambda_2 Q_2^T$">,
where <IMG
 WIDTH="22" HEIGHT="32" ALIGN="MIDDLE" BORDER="0"
 SRC="img231.gif"
 ALT="$\Lambda_i$">
is a diagonal matrix of
eigenvalues,
and the columns of <B><I>Q</I><SUB><I>i</I></SUB></B> are orthonormal eigenvectors. Thus
<BR><P></P>
<DIV ALIGN="CENTER">

<!-- MATH
 \begin{displaymath}
T = \left( \begin{array}{cc} Q_1 \Lambda_1 Q_1^T & 0 \\0 &  Q_2 \Lambda_2 Q_2^T \end{array} \right) + H
=
\left( \begin{array}{cc} Q_1 & 0 \\0 & Q_2 \end{array} \right) \cdot
\left( \left( \begin{array}{cc} \Lambda_1 & 0 \\0 & \Lambda_2 \end{array} \right) + H' \right) \cdot
\left( \begin{array}{cc} Q_1^T & 0 \\0 & Q_2^T \end{array} \right)
\end{displaymath}
 -->


<IMG
 WIDTH="650" HEIGHT="54" BORDER="0"
 SRC="img232.gif"
 ALT="\begin{displaymath}
T = \left( \begin{array}{cc} Q_1 \Lambda_1 Q_1^T &amp; 0 \\ 0 &amp; ...
... \begin{array}{cc} Q_1^T &amp; 0 \\ 0 &amp; Q_2^T \end{array} \right)
\end{displaymath}">
</DIV>
<BR CLEAR="ALL">
<P></P>
where <B><I>H</I>'</B> is again a simple rank-one matrix. The eigenvalues and
eigenvectors
of 
<!-- MATH
 $\left( \begin{array}{cc} \Lambda_1 & 0 \\0 & \Lambda_2 \end{array} \right) + H'$
 -->
<IMG
 WIDTH="142" HEIGHT="64" ALIGN="MIDDLE" BORDER="0"
 SRC="img233.gif"
 ALT="$\left( \begin{array}{cc} \Lambda_1 &amp; 0 \\ 0 &amp; \Lambda_2 \end{array} \right) + H'$">
may be found
using <B><I>O</I>(<I>n</I><SUP>2</SUP>)</B> scalar operations, yielding

<!-- MATH
 $\left( \begin{array}{cc} \Lambda_1 & 0 \\0 & \Lambda_2 \end{array} \right) + H' =
\hat{Q} \Lambda \hat{Q}^T \; .$
 -->
<IMG
 WIDTH="226" HEIGHT="64" ALIGN="MIDDLE" BORDER="0"
 SRC="img234.gif"
 ALT="$
\left( \begin{array}{cc} \Lambda_1 &amp; 0 \\ 0 &amp; \Lambda_2 \end{array} \right) + H' =
\hat{Q} \Lambda \hat{Q}^T \; .
$">
Substituting this into the last displayed expression yields
<BR><P></P>
<DIV ALIGN="CENTER">

<!-- MATH
 \begin{displaymath}
T =
\left( \begin{array}{cc} Q_1 & 0 \\0 & Q_2 \end{array} \right) 
\left( \hat{Q} {\Lambda} \hat{Q}^T \right) \left( \begin{array}{cc} Q_1^T & 0 \\0 & Q_2^T
\end{array} \right) =
\left( \left( \begin{array}{cc} Q_1 & 0 \\0 & Q_2 \end{array} \right) \hat{Q} \right)
{\Lambda}
\left( \hat{Q}^T \left( \begin{array}{cc} Q_1^T & 0 \\0 & Q_2^T \end{array} \right) \right) =
Q \Lambda Q^T \; ,
\end{displaymath}
 -->


<IMG
 WIDTH="739" HEIGHT="54" BORDER="0"
 SRC="img235.gif"
 ALT="\begin{displaymath}
T =
\left( \begin{array}{cc} Q_1 &amp; 0 \\ 0 &amp; Q_2 \end{array} ...
... \\ 0 &amp; Q_2^T \end{array} \right) \right) =
Q \Lambda Q^T \; ,
\end{displaymath}">
</DIV>
<BR CLEAR="ALL">
<P></P>
where the diagonals of <IMG
 WIDTH="16" HEIGHT="15" ALIGN="BOTTOM" BORDER="0"
 SRC="img28.gif"
 ALT="$\Lambda$">
are the desired eigenvalues of <B><I>T</I></B>, and the
columns
of 
<!-- MATH
 $Q = \left( \begin{array}{cc} Q_1 & 0 \\0 & Q_2 \end{array} \right) \hat{Q}$
 -->
<IMG
 WIDTH="158" HEIGHT="64" ALIGN="MIDDLE" BORDER="0"
 SRC="img236.gif"
 ALT="$Q = \left( \begin{array}{cc} Q_1 &amp; 0 \\ 0 &amp; Q_2 \end{array} \right) \hat{Q}$">
are the eigenvectors.
Almost all the work is done in the two matrix multiplies of <B><I>Q</I><SUB>1</SUB></B> and <B><I>Q</I><SUB>2</SUB></B>
times
<IMG
 WIDTH="18" HEIGHT="41" ALIGN="MIDDLE" BORDER="0"
 SRC="img237.gif"
 ALT="$\hat{Q}$">,
which is done using the Level 3 BLAS.

<P>
The same recursive algorithm has been developed for the singular value
decomposition
of the bidiagonal matrix resulting from reducing a dense matrix with
xGEBRD.
<A NAME="7962"></A><A NAME="7963"></A><A NAME="7964"></A><A NAME="7965"></A>
The SVD driver using this algorithm is called xGESDD.
<A NAME="7966"></A><A NAME="7967"></A><A NAME="7968"></A><A NAME="7969"></A>
This recursive algorithm is also used for the SVD-based linear least
squares solver xGELSD;
<A NAME="7970"></A><A NAME="7971"></A><A NAME="7972"></A><A NAME="7973"></A>
see Figure&nbsp;<A HREF="node71.html#fig:GELScomparison">3.3</A> to see how
much faster DGELSD is than its older routine DGELSS.
SBDSQR<A NAME="7975"></A><A NAME="7976"></A><A NAME="7977"></A><A NAME="7978"></A>,
Comparison timings of DGESVD<A NAME="7979"></A> and DGESDD<A NAME="7980"></A> can
be found in
Tables&nbsp;<A HREF="node71.html#tabsvddriver2">3.18</A> and <A HREF="node71.html#tabsvddriver4">3.19</A>.

<P>
Version 3.0 of LAPACK introduced another new algorithm, xSTEGR,
<A NAME="7983"></A><A NAME="7984"></A><A NAME="7985"></A><A NAME="7986"></A>
for finding all the eigenvalues and eigenvectors of a symmetric
tridiagonal matrix.
It is usually even faster
than xSTEDC
<A NAME="7987"></A><A NAME="7988"></A><A NAME="7989"></A><A NAME="7990"></A>
above, and we expect it to ultimately replace all
other LAPACK algorithm for the symmetric eigenvalue problem
and SVD. Here is a rough description of how it works; for
details see
[<A
 HREF="node151.html#holygrail">35</A>,<A
 HREF="node151.html#parlettmarques99">87</A>,<A
 HREF="node151.html#parlettdhillon99a">86</A>,<A
 HREF="node151.html#dhillonparlett99b">36</A>].

<P>
It is easiest to think of xSTEGR as a variation on xSTEIN,
<A NAME="7992"></A><A NAME="7993"></A><A NAME="7994"></A><A NAME="7995"></A>
inverse iteration.
If all the eigenvalues were well separated, xSTEIN would
run in <B><I>O</I>(<I>n</I><SUP>2</SUP>)</B> time.
But it is difficult for xSTEIN to compute accurate eigenvectors
belonging to close eigenvalues, those that have four or
more decimals in common with their neighbors. Indeed, xSTEIN
slows down because it reorthogonalizes the corresponding eigenvectors.
xSTEGR escapes this difficulty by exploiting the invariance of
eigenvectors under translation.

<P>
For each cluster <IMG
 WIDTH="15" HEIGHT="16" ALIGN="BOTTOM" BORDER="0"
 SRC="img238.gif"
 ALT="$\cal C$">
of close eigenvalues the algorithm chooses
a shift <B><I>s</I></B> at one end of <IMG
 WIDTH="15" HEIGHT="16" ALIGN="BOTTOM" BORDER="0"
 SRC="img238.gif"
 ALT="$\cal C$">,
or just outside, with the property
that <B><I>T</I> - <I>sI</I></B> permits triangular factorization 
<!-- MATH
 $LDL^T = T - sI$
 -->
<B><I>LDL</I><SUP><I>T</I></SUP> = <I>T</I> - <I>sI</I></B>
such that the small shifted eigenvalues
(<IMG
 WIDTH="44" HEIGHT="32" ALIGN="MIDDLE" BORDER="0"
 SRC="img239.gif"
 ALT="$\lambda - s$">
for 
<!-- MATH
 $\lambda \in {\cal C}$
 -->
<IMG
 WIDTH="46" HEIGHT="32" ALIGN="MIDDLE" BORDER="0"
 SRC="img240.gif"
 ALT="$\lambda \in {\cal C}$">)
are determined to high relative accuracy by the
entries in <B><I>L</I></B> and <B><I>D</I></B>.  Note that the small shifted eigenvalues
will have fewer digits in common than those in <IMG
 WIDTH="15" HEIGHT="16" ALIGN="BOTTOM" BORDER="0"
 SRC="img238.gif"
 ALT="$\cal C$">.
The algorithm
computes these small shifted eigenvalues to high relative
accuracy, either by xLASQ2
or by refining earlier approximations
using bisection.  This means that each computed <IMG
 WIDTH="15" HEIGHT="21" ALIGN="BOTTOM" BORDER="0"
 SRC="img241.gif"
 ALT="$\hat{\lambda}$">
approximating a <IMG
 WIDTH="44" HEIGHT="32" ALIGN="MIDDLE" BORDER="0"
 SRC="img239.gif"
 ALT="$\lambda - s$">
has error bounded by 
<!-- MATH
 $O( \varepsilon )
|\hat{\lambda}|$
 -->
<IMG
 WIDTH="60" HEIGHT="41" ALIGN="MIDDLE" BORDER="0"
 SRC="img242.gif"
 ALT="$O( \varepsilon )
\vert\hat{\lambda}\vert$">.

<P>
The next task is to compute an eigenvector for <IMG
 WIDTH="44" HEIGHT="32" ALIGN="MIDDLE" BORDER="0"
 SRC="img239.gif"
 ALT="$\lambda - s$">.
For each
<IMG
 WIDTH="15" HEIGHT="21" ALIGN="BOTTOM" BORDER="0"
 SRC="img241.gif"
 ALT="$\hat{\lambda}$">
the algorithm computes, with care, an optimal
<EM>twisted factorization</EM>
<BR><P></P>
<DIV ALIGN="CENTER">
<IMG
 WIDTH="264" HEIGHT="58" BORDER="0"
 SRC="img243.gif"
 ALT="\begin{eqnarray*}
LDL^T - \hat{\lambda} I &amp;=&amp; N_r \Delta_r N_r^T \\
\Delta_r &amp;=&amp; {\rm diag}(\delta_1,\delta_2, ...
,\delta_n)
\end{eqnarray*}">
</DIV><P></P>
<BR CLEAR="ALL">
obtained by implementing triangular factorization both from top
down and bottom up and joining them at a well chosen index <B><I>r</I></B>.
An approximate eigenvector <B><I>z</I></B> is obtained by solving <B><I>N</I><SUB><I>r</I></SUB><SUP><I>T</I></SUP> <I>z</I> = <I>e</I><SUB><I>r</I></SUB></B>
where <B><I>e</I><SUB><I>r</I></SUB></B> is column <B><I>r</I></B> of <B><I>I</I></B>.  It turns out that

<!-- MATH
 $N_r \Delta_r N_r^T = e_r \delta_r$
 -->
<IMG
 WIDTH="128" HEIGHT="38" ALIGN="MIDDLE" BORDER="0"
 SRC="img244.gif"
 ALT="$N_r \Delta_r N_r^T = e_r \delta_r$">
and
<BR><P></P>
<DIV ALIGN="CENTER">

<!-- MATH
 \begin{displaymath}
\| LDL^T - \hat{\lambda} I \| =
     | {\rm error\ in\ } \hat{\lambda}| / \|u\|_{\infty} + ...
\end{displaymath}
 -->


<IMG
 WIDTH="297" HEIGHT="31" BORDER="0"
 SRC="img245.gif"
 ALT="\begin{displaymath}
\Vert LDL^T - \hat{\lambda} I \Vert =
\vert {\rm error\ in\ } \hat{\lambda}\vert / \Vert u\Vert _{\infty} + ...
\end{displaymath}">
</DIV>
<BR CLEAR="ALL">
<P></P>
where ... indicates smaller terms and 
<!-- MATH
 $Tu = \lambda u$
 -->
<IMG
 WIDTH="70" HEIGHT="16" ALIGN="BOTTOM" BORDER="0"
 SRC="img246.gif"
 ALT="$Tu = \lambda u$">,
<B><I>u</I><SUP><I>T</I></SUP><I>u</I> = 1</B>.
&gt;From the basic gap theorem [<A
 HREF="node151.html#parlett">85</A>]
<BR><P></P>
<DIV ALIGN="CENTER">

<!-- MATH
 \begin{displaymath}
|\sin \theta(u,z)| <= O(\epsilon)
) |\hat{\lambda}| / (\|u\|_{\infty}
|\hat{\lambda} - \hat{\mu}| ) + ...
\end{displaymath}
 -->


<IMG
 WIDTH="333" HEIGHT="31" BORDER="0"
 SRC="img247.gif"
 ALT="\begin{displaymath}
\vert\sin \theta(u,z)\vert &lt;= O(\epsilon)
) \vert\hat{\lamb...
...t u\Vert _{\infty}
\vert\hat{\lambda} - \hat{\mu}\vert ) + ...
\end{displaymath}">
</DIV>
<BR CLEAR="ALL">
<P></P>
where <IMG
 WIDTH="15" HEIGHT="32" ALIGN="MIDDLE" BORDER="0"
 SRC="img248.gif"
 ALT="$\hat{\mu}$">
is <IMG
 WIDTH="15" HEIGHT="21" ALIGN="BOTTOM" BORDER="0"
 SRC="img241.gif"
 ALT="$\hat{\lambda}$">'s neighbor in the shifted spectrum.
Given
this nice bound the algorithm computes <B><I>z</I></B> for all <IMG
 WIDTH="15" HEIGHT="16" ALIGN="BOTTOM" BORDER="0"
 SRC="img23.gif"
 ALT="$\lambda$">
such that the
relative gap 
<!-- MATH
 $|\lambda - \mu|/|\lambda - s| > 10^{-3}$
 -->
<IMG
 WIDTH="173" HEIGHT="37" ALIGN="MIDDLE" BORDER="0"
 SRC="img249.gif"
 ALT="$\vert\lambda - \mu\vert/\vert\lambda - s\vert &gt; 10^{-3}$">.
These <B><I>z</I></B>'s have an
error
that is <IMG
 WIDTH="39" HEIGHT="34" ALIGN="MIDDLE" BORDER="0"
 SRC="img250.gif"
 ALT="$O(\epsilon)$">.

<P>
The procedure described above is repeated for any eigenvalues that
remain without eigenvectors.  It can be shown that all the computed
<B><I>z</I></B>'s are very close to eigenvectors of small relative perturbations of
one global Cholesky factorization <B><I>GG</I><SUP><I>T</I></SUP></B> of a translate <IMG
 WIDTH="58" HEIGHT="32" ALIGN="MIDDLE" BORDER="0"
 SRC="img251.gif"
 ALT="$T - \sigma I$">
of <B><I>T</I></B>.  A key
component of the algorithm is the use of recently discovered
differential qd algorithms to ensure that the twisted factorizations
described above are computed without ever forming the indicated
matrix products such as <B><I>LDL</I><SUP><I>T</I></SUP></B> [<A
 HREF="node151.html#fernandoparlett">51</A>].

<P>
For computing the eigenvalues and eigenvectors of a Hessenberg
matrix--or rather for computing its Schur factorization-- yet another
flavor of block algorithm has been developed: a <B>multishift</B>
<B><I>QR</I></B> iteration<A NAME="8019"></A>
[<A
 HREF="node151.html#baidemmel">9</A>]. Whereas the traditional EISPACK routine
HQR<A NAME="8021"></A> uses a double shift (and the corresponding complex
routine COMQR<A NAME="8022"></A>
uses a single shift), the multishift algorithm uses block shifts of
higher order. It has been found that often the total number of operations
<EM>decreases</EM> as the order of shift is increased until a minimum
is reached typically between 4 and 8; for higher orders the number of
operations increases quite rapidly. On many machines
the speed of applying the shift
increases steadily with the order, and the optimum order of shift is
typically in the range 8-16. Note however that the performance can be
very sensitive to the choice of the order of shift; it also depends on
the numerical properties of the matrix. Dubrulle&nbsp;[<A
 HREF="node151.html#dubrulle">49</A>] has
studied the practical performance of the algorithm, while Watkins and
Elsner&nbsp;[<A
 HREF="node151.html#watkinselsner">101</A>] discuss its theoretical asymptotic convergence
rate.

<P>
Finally, we note that research into block algorithms for symmetric and
nonsymmetric eigenproblems continues
[<A
 HREF="node151.html#baidemmel92a">11</A>,<A
 HREF="node151.html#hussledermantsaozhang93">68</A>],
and future versions of LAPACK will be updated to contain the best algorithms
available.

<P>
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<ADDRESS>
<I>Susan Blackford</I>
<BR><I>1999-10-01</I>
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